Win rate and expectancy tell you whether a strategy makes money. They say nothing about whether you are managing the trades well once you are in them. For that you need two numbers that most journals collect and few traders read: the maximum adverse excursion (MAE) and the maximum favourable excursion (MFE). Together they answer the questions that otherwise live on feeling: are my stops too tight, do I exit too early, do I let winners turn into losers.
The definitions, with one trade
MAE is the furthest the trade went against you between entry and exit, before it was closed. MFE is the furthest it went in your favour. Both are measured from the entry price and are most useful expressed in R, as multiples of your initial risk.
Take a long on EURUSD:
| Price | Distance | In R | |
|---|---|---|---|
| Entry | 1.0850 | ||
| Initial stop | 1.0820 | 30 pips | 1R |
| Lowest price while open | 1.0832 | 18 pips against | MAE 0.6R |
| Highest price while open | 1.0925 | 75 pips for | MFE 2.5R |
| Exit | 1.0880 | 30 pips for | realised +1.0R |
Two derived numbers follow. Exit efficiency is realised R divided by MFE: 1.0 / 2.5 = 40%. Left on the table is MFE minus realised: 1.5R. One trade says nothing; the averages over thirty trades say a great deal.
What MAE tells you about your stops
Look at the MAE of your winning trades. If winners almost never go more than 0.5R against you before working, your stop is twice as wide as it needs to be. Halving the stop at the same risk doubles the size, and doubles every R you make, without changing the entry.
Now look at the MAE of your losers. If a large share of them went to exactly 1R and then came back the other way (the trade would have won with a wider stop), the stop is inside the market's noise. The fix is not a wider stop with the same size; it is a wider stop with a smaller size, so the risk in money stays the same.
The pattern to fear is a cluster of losers with MAE well above 1R. Those are trades where the stop was moved or was not placed. They belong in the mistake tags, not in the stop discussion.
What MFE tells you about your exits
Look at the MFE of your losing trades. A loser with an MFE of 1.2R was a winner at some point and was given back. One such trade is normal. If the average MFE of your losers is above 1R, you have a management problem that no entry can fix: winners are routinely turning into losers. The usual cure is a rule that moves the stop to break-even once the trade reaches a defined MFE, which you can now set from data instead of habit.
Then look at the MFE of the winners against what you realised. An average exit efficiency around 30% to 60% is normal for discretionary traders; nobody sells the top. Below 25% means systematic early exits, and the number next to it, R left on the table per trade, is the cost of that habit in the same unit as everything else.
Four patterns and what to do about them
| What the numbers show | Likely cause | What to change |
|---|---|---|
| Winners' MAE rarely above 0.5R | Stop too wide | Tighter stop, larger size, same money risk |
| Many losers reverse right after hitting 1R | Stop inside the noise | Wider stop, smaller size |
| Losers' average MFE above 1R | Winners given back | Break-even rule at a fixed MFE |
| Exit efficiency under 25% | Early exits | Partial exit at target one, let the rest run to a trailing stop |
Do not act on fewer than thirty trades per setup. MAE and MFE are noisy by nature, and a strategy with a few big winners will always show low average exit efficiency; that is the shape of the edge, not a flaw.
How to record MAE and MFE by hand
If your trades come from a broker report, the platform rarely includes excursions, so this is one of the few things worth adding by hand. After the trade closes, open the chart, look at the span between entry and exit, and note two prices: the worst and the best the trade reached. That is thirty seconds per trade. Enter them as prices and let the journal convert them to R using the stop you recorded at entry.
A detail that matters: measure from entry to exit, not from entry to the end of the day. What the price did after you were out is a different question (and a less useful one, because you could not have acted on it without a different plan).
In SetupBook
The trade form's price step has MAE and MFE fields with a short help text, next to the stop and target, and they can be filled in later from the trades table. The analytics page has an exit analysis card built from them: exit efficiency, R left on the table, MFE against realised R for the winners, and the count of losses that had reached +1R before turning. The analytics section of the user guide explains each number with the demo account's trades. A free account includes all of it.